NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods

John B. Taylor, Harald Uhlig

NBER Working Paper No. 3117 (Also Reprint No. r1447)*
Issued in September 1990
NBER Program(s):   EFG

The purpose of this paper is to report on a comparison of several alternative numerical

solution techniques for nonlinear rational expectations models. The comparison was made by

asking individual researchers to apply their different solution techniques to a simple

representative agent, optimal, stochastic growth model. Decision rules as well as simulated

time series are compared. The differences among the methods turned ou t to be quite

substantial for certain aspects of the growth model. Therefore, researchers might want to be

careful not to rely blindly on the results of any chosen numerical solution method in applied

work.

*Published: Journal of Business & Economic Statistics, Vol. 8, No. 1, pp. 1-17, (January 1990).

You may purchase this paper on-line in .pdf format from SSRN.com ($5) for electronic delivery.

Information about Free Papers

You should expect a free download if you are a subscriber, a corporate associate of the NBER, a journalist, a site with your domain name in ".GOV", or a resident of nearly any developing country or transition economy.

If you usually get free papers at work/university but do not at home, you can either connect to your work VPN or proxy (if any) or elect to have a link to the paper emailed to your work email address below. The email address must be connected to a subscribing college, university, or other subscribing institution. Gmail and other free email addresses will not have access.

E-mail:

Machine-readable bibliographic record - MARC, RIS, BibTeX

 
Publications
Activities
Meetings
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org